📊 Backtest Report

Summary

================================================================================ BACKTEST SUMMARY REPORT ================================================================================ CAPITAL PERFORMANCE ------------------- Initial Capital: $10,000.00 Final Capital: $9,992.42 Net P&L: $-7.58 Total Return: -0.08% TRADE STATISTICS ---------------- Total Trades: 104 Winning Trades: 32 Losing Trades: 72 Win Rate: 30.77% Gross Profit: $0.19 Gross Loss: $7.76 Average Win: $0.01 Average Loss: $0.11 RISK METRICS ------------ Profit Factor: 0.02 Expectancy: $-0.07 Avg Risk/Reward: 0.05 Sharpe Ratio: -22.05 Sortino Ratio: -0.28 Omega Ratio: 0.61 Calmar Ratio: -1.00 DRAWDOWN ANALYSIS ----------------- Maximum Drawdown: -0.08% Recovery Factor: -1.00 Ulcer Index: 0.05 EXECUTION QUALITY ----------------- Average MAE: -0.15% Average MFE: 0.12% Total Commission: $5.27 Total Slippage: $1.32 ADVANCED METRICS ---------------- Kelly Criterion: 0.00% Tail Ratio: 0.63 Max Consecutive Wins: 3 Max Consecutive Losses: 13 ================================================================================

Performance Metrics

Metric Value
Initial Capital $10,000.00
Final Capital $9,992.42
Net P&L $-7.58
Return % -0.08%
Total Trades 104
Winning Trades 32
Losing Trades 72
Win Rate 30.77%
Profit Factor 0.02
Sharpe Ratio -22.05
Max Drawdown -0.08%
Recovery Factor -1.00
Calmar Ratio -1.00
Average Win $0.01
Average Loss $0.11
Expectancy $-0.07
Avg Risk/Reward 0.05
Avg MAE -0.15%
Avg MFE 0.12%
Sortino Ratio -0.28
Omega Ratio 0.61
Kelly Criterion 0.00%
Max Consecutive Wins 3
Max Consecutive Losses 13

Visual Analysis

Trade Details

Trade # Entry Time Exit Time Type Entry Price Exit Price Size P&L P&L % Exit Reason Duration (bars) MAE % MFE % Commission Slippage
1 2024-06-24 02:20:00 2024-06-24 04:05:00 SHORT 2318.790025 2324.511675 0.01 -0.103650 -0.446998 stop_loss 22 -0.148352 0.046146 0.046433 0.011617
2 2024-06-25 03:05:00 2024-06-25 12:15:00 SHORT 2329.114860 2334.846840 0.01 -0.103959 -0.446347 stop_loss 111 -0.088237 0.273274 0.046640 0.011668
3 2024-06-26 02:20:00 2024-06-26 03:15:00 SHORT 2317.930455 2323.651245 0.01 -0.103624 -0.447053 stop_loss 12 -0.162194 0.000000 0.046416 0.011612
4 2024-06-27 02:20:00 2024-06-27 09:25:00 SHORT 2296.811020 2302.510680 0.01 -0.102990 -0.448404 stop_loss 86 -0.188913 0.010929 0.045993 0.011507
5 2024-06-28 02:20:00 2024-06-28 03:40:00 LONG 2328.523680 2322.798020 0.01 -0.103770 -0.445646 stop_loss 17 -0.190837 0.000000 0.046513 0.011620
6 2024-07-01 02:35:00 2024-07-01 03:25:00 LONG 2326.802820 2321.078880 0.01 -0.103718 -0.445754 stop_loss 11 -0.194379 0.000000 0.046479 0.011611
7 2024-07-02 02:30:00 2024-07-02 06:10:00 LONG 2333.716275 2327.985425 0.01 -0.103926 -0.445322 stop_loss 45 -0.164813 0.029298 0.046617 0.011646
8 2024-07-03 02:30:00 2024-07-03 07:30:00 SHORT 2328.765035 2334.496665 0.01 -0.103949 -0.446369 stop_loss 61 -0.191302 0.077510 0.046633 0.011667
9 2024-07-04 02:40:00 2024-07-04 08:20:00 LONG 2360.449635 2354.692065 0.01 -0.104727 -0.443674 stop_loss 69 -0.171562 0.088982 0.047151 0.011779
10 2024-07-05 02:45:00 2024-07-05 09:05:00 LONG 2358.718770 2364.657080 0.01 0.012149 0.051508 take_profit 77 -0.111449 0.288768 0.047234 0.011829
11 2024-07-08 02:25:00 2024-07-08 05:45:00 LONG 2387.663235 2381.878465 0.01 -0.105543 -0.442035 stop_loss 41 -0.181066 0.144776 0.047695 0.011915
12 2024-07-09 02:20:00 2024-07-09 15:25:00 LONG 2362.170495 2356.411205 0.01 -0.104779 -0.443570 stop_loss 158 -0.193487 0.280230 0.047186 0.011788
13 2024-07-10 02:30:00 2024-07-10 10:00:00 LONG 2366.572695 2372.503155 0.01 0.011914 0.050342 take_profit 91 -0.137443 0.264404 0.047391 0.011868
14 2024-07-12 02:25:00 2024-07-12 04:15:00 LONG 2415.387090 2409.574610 0.01 -0.106374 -0.440403 stop_loss 23 -0.178319 0.038624 0.048250 0.012054
15 2024-07-15 02:20:00 2024-07-15 04:50:00 SHORT 2405.026885 2410.834815 0.01 -0.106238 -0.441733 stop_loss 31 -0.160211 0.001534 0.048159 0.012048
16 2024-07-16 02:20:00 2024-07-16 06:00:00 LONG 2423.311050 2429.184800 0.01 0.010213 0.042143 take_profit 45 -0.135808 0.290056 0.048525 0.012152
17 2024-07-17 02:25:00 2024-07-17 03:40:00 SHORT 2467.345710 2473.215990 0.01 -0.108108 -0.438157 stop_loss 16 -0.098255 0.045624 0.049406 0.012360
18 2024-07-18 02:25:00 2024-07-18 03:05:00 LONG 2462.540655 2456.681045 0.01 -0.107788 -0.437712 stop_loss 9 -0.155151 0.000000 0.049192 0.012290
19 2024-07-19 02:25:00 2024-07-19 03:00:00 LONG 2445.892335 2440.049365 0.01 -0.107289 -0.438650 stop_loss 8 -0.188166 0.000000 0.048859 0.012206
20 2024-07-22 02:30:00 2024-07-22 03:15:00 LONG 2412.905850 2407.095850 0.01 -0.106300 -0.440548 stop_loss 10 -0.181766 0.000000 0.048200 0.012042
21 2024-07-23 02:30:00 2024-07-23 03:30:00 SHORT 2393.872465 2399.669235 0.01 -0.105903 -0.442392 stop_loss 13 -0.154876 0.000000 0.047935 0.011992
22 2024-07-24 03:05:00 2024-07-24 04:25:00 LONG 2410.954875 2405.146825 0.01 -0.106242 -0.440662 stop_loss 17 -0.137907 0.051644 0.048161 0.012032
23 2024-07-25 02:20:00 2024-07-25 03:05:00 LONG 2400.939870 2395.141830 0.01 -0.105941 -0.441249 stop_loss 10 -0.123696 0.012501 0.047961 0.011982
24 2024-07-26 02:25:00 2024-07-26 04:30:00 SHORT 2361.418700 2367.183000 0.01 -0.104929 -0.444347 stop_loss 26 -0.182149 0.235820 0.047286 0.011830
25 2024-07-29 02:20:00 2024-07-29 04:30:00 LONG 2397.928365 2392.133335 0.01 -0.105851 -0.441427 stop_loss 27 -0.121704 0.191900 0.047901 0.011967
26 2024-07-30 02:20:00 2024-07-30 07:00:00 SHORT 2381.728540 2387.513160 0.01 -0.105539 -0.443118 stop_loss 57 -0.180602 0.219107 0.047692 0.011932
27 2024-07-31 02:25:00 2024-07-31 04:00:00 LONG 2411.014905 2405.206795 0.01 -0.106243 -0.440658 stop_loss 20 -0.126706 0.000000 0.048162 0.012032
28 2024-08-01 02:20:00 2024-08-01 04:05:00 SHORT 2445.316730 2451.164970 0.01 -0.107447 -0.439400 stop_loss 22 -0.171073 0.038716 0.048965 0.012250
29 2024-08-02 02:20:00 2024-08-02 03:20:00 SHORT 2443.297740 2449.143960 0.01 -0.107387 -0.439515 stop_loss 13 -0.165443 0.000000 0.048924 0.012240
30 2024-08-05 02:45:00 2024-08-05 03:05:00 SHORT 2438.740020 2432.875830 0.01 0.009926 0.040700 take_profit 5 -0.107432 0.061508 0.048716 0.012158
31 2024-08-06 02:35:00 2024-08-06 03:20:00 SHORT 2406.895950 2412.705750 0.01 -0.106294 -0.441623 stop_loss 10 -0.150985 0.101623 0.048196 0.012058
32 2024-08-07 02:25:00 2024-08-07 07:15:00 SHORT 2385.606600 2391.395100 0.01 -0.105655 -0.442885 stop_loss 59 -0.169911 0.274002 0.047770 0.011951
33 2024-08-08 02:20:00 2024-08-08 06:50:00 LONG 2386.402605 2392.313245 0.01 0.011319 0.047432 take_profit 55 -0.130012 0.262210 0.047787 0.011968
34 2024-08-09 02:20:00 2024-08-09 05:00:00 SHORT 2423.247770 2429.073930 0.01 -0.106785 -0.440668 stop_loss 33 -0.176714 0.128248 0.048523 0.012139
35 2024-08-12 02:25:00 2024-08-12 07:30:00 SHORT 2426.776005 2432.605695 0.01 -0.106891 -0.440464 stop_loss 62 -0.166641 0.119335 0.048594 0.012157
36 2024-08-13 02:20:00 2024-08-13 03:35:00 LONG 2475.987375 2470.114325 0.01 -0.108192 -0.436963 stop_loss 16 -0.158215 0.039686 0.049461 0.012357
37 2024-08-14 02:25:00 2024-08-14 04:10:00 SHORT 2463.297735 2469.163965 0.01 -0.107987 -0.438384 stop_loss 22 -0.181556 0.010869 0.049325 0.012340
38 2024-08-15 02:35:00 2024-08-15 09:10:00 LONG 2449.764270 2455.611580 0.01 0.009419 0.038450 take_profit 80 -0.083039 0.234542 0.049054 0.012284
39 2024-08-16 02:30:00 2024-08-16 06:10:00 LONG 2457.598185 2451.743515 0.01 -0.107640 -0.437989 stop_loss 45 -0.161059 0.102206 0.049093 0.012265
40 2024-08-19 02:25:00 2024-08-19 04:20:00 SHORT 2502.738005 2496.937845 0.01 0.008005 0.031984 take_profit 24 -0.163101 0.248848 0.049997 0.012478
41 2024-08-20 02:20:00 2024-08-20 03:35:00 SHORT 2501.878435 2507.783265 0.01 -0.109145 -0.436252 stop_loss 16 -0.151549 0.000000 0.050097 0.012533
42 2024-08-21 02:20:00 2024-08-21 04:30:00 LONG 2516.507625 2510.594075 0.01 -0.109407 -0.434755 stop_loss 27 -0.184686 0.000000 0.050271 0.012559
43 2024-08-22 02:35:00 2024-08-22 05:25:00 SHORT 2512.013365 2506.222485 0.01 0.007726 0.030758 take_profit 35 -0.106155 0.273620 0.050182 0.012525
44 2024-08-23 02:30:00 2024-08-23 07:00:00 LONG 2487.253005 2493.062845 0.01 0.008295 0.033351 take_profit 55 -0.063645 0.257191 0.049803 0.012472
45 2024-08-26 03:30:00 2024-08-26 03:45:00 LONG 2517.918330 2512.003370 0.01 -0.109449 -0.434680 stop_loss 4 -0.129803 0.000000 0.050299 0.012566
46 2024-08-27 02:35:00 2024-08-27 04:45:00 SHORT 2515.751495 2509.964355 0.01 0.007614 0.030266 take_profit 27 -0.056782 0.241339 0.050257 0.012544
47 2024-08-28 02:35:00 2024-08-28 05:10:00 SHORT 2523.877430 2518.098420 0.01 0.007370 0.029202 take_profit 32 -0.118174 0.278042 0.050420 0.012584
48 2024-08-29 02:50:00 2024-08-29 06:35:00 LONG 2509.163955 2514.951895 0.01 0.007638 0.030441 take_profit 46 -0.061931 0.252516 0.050241 0.012581
49 2024-08-30 02:30:00 2024-08-30 09:25:00 SHORT 2518.560090 2524.481610 0.01 -0.109646 -0.435350 stop_loss 84 -0.059951 0.252529 0.050430 0.012616
50 2024-09-02 02:20:00 2024-09-02 05:05:00 SHORT 2500.848950 2495.046900 0.01 0.008062 0.032235 take_profit 34 -0.167185 0.187894 0.049959 0.012469
51 2024-09-03 02:40:00 2024-09-03 04:00:00 LONG 2499.579165 2493.682535 0.01 -0.108899 -0.435669 stop_loss 17 -0.180797 0.000000 0.049933 0.012475
52 2024-09-04 02:20:00 2024-09-04 09:20:00 LONG 2495.347050 2489.454650 0.01 -0.108772 -0.435899 stop_loss 85 -0.158978 0.063035 0.049848 0.012454
53 2024-09-05 02:25:00 2024-09-05 09:10:00 LONG 2497.378065 2503.177785 0.01 0.007992 0.032000 take_profit 82 -0.140870 0.233522 0.050006 0.012522
54 2024-09-06 02:40:00 2024-09-06 04:30:00 LONG 2518.958850 2513.042850 0.01 -0.109480 -0.434624 stop_loss 23 -0.180982 0.000000 0.050320 0.012571
55 2024-09-09 02:20:00 2024-09-09 08:50:00 SHORT 2495.911420 2490.104430 0.01 0.008210 0.032893 take_profit 79 -0.181440 0.270099 0.049860 0.012444
56 2024-09-10 02:20:00 2024-09-10 13:15:00 SHORT 2504.577085 2510.484615 0.01 -0.109226 -0.436105 stop_loss 132 -0.127084 0.176361 0.050151 0.012546
57 2024-09-11 02:20:00 2024-09-11 09:10:00 LONG 2518.918830 2524.697020 0.01 0.007346 0.029162 take_profit 83 -0.155973 0.191398 0.050436 0.012630
58 2024-09-12 02:45:00 2024-09-12 06:45:00 SHORT 2510.793975 2516.707725 0.01 -0.109413 -0.435769 stop_loss 49 -0.177873 0.000000 0.050275 0.012577
59 2024-09-13 02:30:00 2024-09-13 03:40:00 SHORT 2556.001360 2561.960340 0.01 -0.110769 -0.433370 stop_loss 15 -0.152529 0.000000 0.051180 0.012803
60 2024-09-16 02:30:00 2024-09-16 03:25:00 SHORT 2577.590560 2583.571140 0.01 -0.111417 -0.432254 stop_loss 12 -0.160593 0.000000 0.051612 0.012911
61 2024-09-17 02:45:00 2024-09-17 04:00:00 LONG 2584.921815 2578.939885 0.01 -0.111458 -0.431185 stop_loss 16 -0.178799 0.000000 0.051639 0.012901
62 2024-09-18 02:20:00 2024-09-18 07:50:00 LONG 2574.116415 2568.145285 0.01 -0.111134 -0.431736 stop_loss 67 -0.173124 0.092210 0.051423 0.012847
63 2024-09-19 02:20:00 2024-09-19 05:25:00 SHORT 2556.431145 2562.390555 0.01 -0.110782 -0.433348 stop_loss 38 -0.170505 0.206192 0.051188 0.012806
64 2024-09-20 03:10:00 2024-09-20 05:05:00 SHORT 2585.116795 2591.104905 0.01 -0.111643 -0.431870 stop_loss 24 -0.170329 0.011094 0.051762 0.012949
65 2024-09-23 03:00:00 2024-09-23 05:30:00 SHORT 2618.350170 2624.371530 0.01 -0.112641 -0.430198 stop_loss 31 -0.121444 0.085938 0.052427 0.013115
66 2024-09-24 02:20:00 2024-09-24 04:15:00 SHORT 2625.186750 2631.214950 0.01 -0.112846 -0.429859 stop_loss 24 -0.173445 0.048635 0.052564 0.013149
67 2024-09-25 02:20:00 2024-09-25 03:55:00 SHORT 2655.591540 2661.650160 0.01 -0.113759 -0.428374 stop_loss 20 -0.169396 0.000000 0.053172 0.013302
68 2024-09-26 02:50:00 2024-09-26 04:10:00 SHORT 2655.931370 2661.990330 0.01 -0.113769 -0.428358 stop_loss 17 -0.168627 0.018501 0.053179 0.013303
69 2024-09-27 02:25:00 2024-09-27 08:30:00 SHORT 2670.723970 2665.091880 0.01 0.002963 0.011093 take_profit 74 -0.122290 0.167519 0.053358 0.013319
70 2024-09-30 02:25:00 2024-09-30 04:00:00 LONG 2665.352010 2659.289690 0.01 -0.113870 -0.427222 stop_loss 20 -0.152401 0.025437 0.053246 0.013303
71 2024-10-01 02:40:00 2024-10-01 08:50:00 LONG 2637.207945 2642.867905 0.01 0.003799 0.014405 take_profit 75 -0.125054 0.254134 0.052801 0.013221
72 2024-10-02 02:20:00 2024-10-02 07:20:00 SHORT 2659.689490 2654.046360 0.01 0.003294 0.012385 take_profit 61 -0.088751 0.178573 0.053137 0.013264
73 2024-10-03 02:20:00 2024-10-03 03:50:00 LONG 2662.530600 2656.471100 0.01 -0.113785 -0.427357 stop_loss 19 -0.175795 0.015376 0.053190 0.013289
74 2024-10-04 02:20:00 2024-10-04 04:50:00 SHORT 2654.392140 2660.449560 0.01 -0.113723 -0.428432 stop_loss 31 -0.164552 0.000834 0.053148 0.013296
75 2024-10-07 02:20:00 2024-10-07 03:05:00 LONG 2653.386030 2647.335670 0.01 -0.113511 -0.427796 stop_loss 10 -0.156254 0.000000 0.053007 0.013243
76 2024-10-08 02:20:00 2024-10-08 04:00:00 LONG 2646.192435 2640.149265 0.01 -0.113295 -0.428144 stop_loss 21 -0.145584 0.000000 0.052863 0.013207
77 2024-10-09 03:55:00 2024-10-09 09:40:00 SHORT 2619.849420 2614.166430 0.01 0.004490 0.017137 take_profit 70 -0.170261 0.238541 0.052340 0.013064
78 2024-10-10 02:40:00 2024-10-10 04:40:00 SHORT 2606.955870 2612.965830 0.01 -0.112299 -0.430766 stop_loss 25 -0.157430 0.038584 0.052199 0.013058
79 2024-10-11 02:20:00 2024-10-11 05:25:00 LONG 2632.985835 2638.650015 0.01 0.003925 0.014909 take_profit 38 -0.064027 0.223479 0.052716 0.013200
80 2024-10-14 02:35:00 2024-10-14 05:40:00 SHORT 2647.175750 2653.225950 0.01 -0.113506 -0.428782 stop_loss 38 -0.167131 0.150188 0.053004 0.013259
81 2024-10-15 02:40:00 2024-10-15 08:10:00 SHORT 2648.535070 2642.880780 0.01 0.003629 0.013701 take_profit 67 -0.159897 0.251274 0.052914 0.013208
82 2024-10-16 02:35:00 2024-10-16 03:05:00 LONG 2663.841255 2657.780445 0.01 -0.113824 -0.427294 stop_loss 7 -0.172355 0.000000 0.053216 0.013296
83 2024-10-17 02:20:00 2024-10-17 04:50:00 LONG 2675.587125 2681.208725 0.01 0.002648 0.009897 take_profit 31 -0.059693 0.240055 0.053568 0.013413
84 2024-10-18 02:25:00 2024-10-18 03:35:00 SHORT 2691.053800 2697.147900 0.01 -0.114823 -0.426684 stop_loss 15 -0.162249 0.000000 0.053882 0.013479
85 2024-10-21 02:40:00 2024-10-21 06:35:00 LONG 2725.862250 2731.433600 0.01 0.001141 0.004184 take_profit 48 -0.173606 0.240208 0.054573 0.013664
86 2024-10-22 02:20:00 2024-10-22 04:30:00 LONG 2723.110875 2728.684975 0.01 0.001223 0.004491 take_profit 27 -0.090003 0.195333 0.054518 0.013650
87 2024-10-23 02:30:00 2024-10-23 04:00:00 LONG 2749.444035 2743.297665 0.01 -0.116391 -0.423326 stop_loss 19 -0.168544 0.000000 0.054927 0.013723
88 2024-10-24 02:35:00 2024-10-24 08:50:00 LONG 2721.950295 2727.525555 0.01 0.001258 0.004621 take_profit 76 -0.149903 0.247606 0.054495 0.013644
89 2024-10-25 02:25:00 2024-10-25 03:45:00 LONG 2736.737685 2730.604015 0.01 -0.116010 -0.423899 stop_loss 17 -0.170922 0.000000 0.054673 0.013660
90 2024-10-28 02:25:00 2024-10-28 03:05:00 LONG 2738.538585 2732.403115 0.01 -0.116064 -0.423818 stop_loss 9 -0.146377 0.061398 0.054709 0.013669
91 2024-10-29 02:25:00 2024-10-29 03:00:00 SHORT 2740.069280 2746.212420 0.01 -0.116294 -0.424421 stop_loss 8 -0.161701 0.000000 0.054863 0.013724
92 2024-10-30 02:20:00 2024-10-30 03:05:00 SHORT 2772.243185 2778.418515 0.01 -0.117260 -0.422978 stop_loss 10 -0.123972 0.000000 0.055507 0.013885
93 2024-10-31 02:20:00 2024-10-31 10:00:00 SHORT 2785.436585 2779.919265 0.01 -0.000480 -0.001725 take_profit 93 -0.167421 0.203436 0.055654 0.013893
94 2024-11-01 02:25:00 2024-11-01 09:00:00 LONG 2748.313470 2753.862380 0.01 0.000467 0.001700 take_profit 80 -0.126022 0.251665 0.055022 0.013776
95 2024-11-05 03:25:00 2024-11-05 04:45:00 SHORT 2731.943345 2726.372505 0.01 0.001125 0.004119 take_profit 17 -0.154346 0.232192 0.054583 0.013625
96 2024-11-06 03:20:00 2024-11-06 03:50:00 LONG 2742.060345 2747.615505 0.01 0.000655 0.002388 take_profit 7 -0.137136 0.250164 0.054897 0.013745
97 2024-11-07 03:20:00 2024-11-07 04:00:00 SHORT 2648.834920 2654.886780 0.01 -0.113556 -0.428701 stop_loss 9 -0.124397 0.202539 0.053037 0.013268
98 2024-11-08 03:30:00 2024-11-08 08:10:00 SHORT 2698.200225 2692.595625 0.01 0.002138 0.007924 take_profit 57 -0.174552 0.241651 0.053908 0.013456
99 2024-11-11 03:20:00 2024-11-11 03:30:00 SHORT 2673.182740 2679.258960 0.01 -0.114287 -0.427530 stop_loss 3 -0.162999 0.014692 0.053524 0.013390
100 2024-11-12 03:20:00 2024-11-12 03:45:00 SHORT 2620.359165 2626.382535 0.01 -0.112701 -0.430098 stop_loss 6 -0.103071 0.043092 0.052467 0.013125
101 2024-11-13 03:25:00 2024-11-13 07:30:00 LONG 2609.744220 2603.737480 0.01 -0.112202 -0.429936 stop_loss 50 -0.173359 0.136633 0.052135 0.013025
102 2024-11-14 03:55:00 2024-11-14 07:35:00 SHORT 2563.537590 2557.798260 0.01 0.006180 0.024107 take_profit 45 -0.100736 0.179346 0.051213 0.012783
103 2024-11-15 03:30:00 2024-11-15 04:25:00 SHORT 2564.816950 2570.784750 0.01 -0.111034 -0.432912 stop_loss 12 -0.175180 0.066942 0.051356 0.012847
104 2024-11-18 03:20:00 2024-11-18 03:25:00 LONG 2583.160935 2588.874915 0.01 0.005419 0.020980 take_profit 2 -0.078622 0.257400 0.051720 0.012951